A Mean Reversion Strategy with 2.11 Sharpe

[semperfrosty]

Yeah, you are right. I'll test the 2 avenues to increase the exposure time (add complementary strategies, and trade Nasdaq 100 instruments simultaneously in parallel), and they should significantly increase the # of trades. I'll share as soon as I find more time

Throw some money at it mate.

You will learn more and your brain will absorb more,subconsciously,when money is on the line.

Even if it doesnt work the way you think it will,your eyes will be opened to the tweak required.

Good luck.

 

[murray t turtle]

You are right! In fact, I tested a Long&Short portfolio using QQQ and PSQ. The results are in the full write-up, here's the link.

%%
1] MOST likley will work + very least have someting in it useful;
but that line chart [yours also]1999 super trend in /QQQ; + SPY-qqq =super bear 2000, 2001, 2002, may not repeat.
I could have the worse losses in sqqq, but that giVes me abig TREND hint also
777 ] DONT know till we actually trade it;
most likely SPY could drawdown more than 40%, 50%, but beat that strategy perhaps= by an amazing amount of % or time. Both combo may do much better than either .
888] STRANGE thing about markets;
QQQ usually beats less liquid FTEC. BUT FTEC beats/qqq, 3 year + 10 year race/hindsightLOL,

 

[eternaldelight]

Awesome! Very nice! Thanks for sharing.

 

[tooriginal]

I counted 4 parameters which seem arbitrary and likely to result in overfitting but I would be happy to be shown otherwise. I would like to see zero parameter choices, that is, for each parameter and each time value, compute the optimal parameter over a rolling window and only then forward step. Look at autocorrelation of optimal parameter values.

 

[ysettle]

The entry sounds about right, I am assuming you sre only using the 4pm close, which may save you from nasty intraday selloffs that accelerate into the close

The exit sounds too conservative - as if you are exiting the trade just as it's starting to work.A rule of thumb one good futures trader uses, is taking the low of the last significant 15 ,30 or 1 hour red candle and using that as a stop. If that red candle happens to be the point that you got in, than dynamic stops are probably a better solution

 

[quantitativo]

The entry sounds about right, I am assuming you sre only using the 4pm close, which may save you from nasty intraday selloffs that accelerate into the close

The exit sounds too conservative - as if you are exiting the trade just as it's starting to work.A rule of thumb one good futures trader uses, is taking the low of the last significant 15 ,30 or 1 hour red candle and using that as a stop. If that red candle happens to be the point that you got in, than dynamic stops are probably a better solution

Thanks, I will try your exit suggestions! About the entries, I'm placing orders at the next day's opening, actually.

 

[SharpeSystem]

Heyo, I was curious if you posted the code to replicate your backtesting results? I am fairly new to trading, and would love to learn how to backtest efficiently. Thanks!